Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model

Return and volatility spillovers between non-fungible tokens and conventional currencies: evidence from the TVP-VAR model

Abstract This study investigates the static and dynamic return and volatility spillovers between non-fungible tokens (NFTs) and conventional currencies using the time-varying parameter vector autoregressions approach. We reveal that the total connectedness between these markets is weak, implying tha...

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Bibliographic Details
Main Authors: Imran Yousaf, Manel Youssef, Mariya Gubareva
Format: Article
Language:English
Published: SpringerOpen 2024-03-01
Series:Financial Innovation
Subjects:
Non-fungible tokens
Conventional currencies
Static connectedness
Dynamic return and volatility spillovers
TVP–VAR model
Covid-19
Online Access:https://doi.org/10.1186/s40854-023-00570-7

Internet

https://doi.org/10.1186/s40854-023-00570-7

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